I'm watching this video now, and at $36:53$ John Tsitsiklis mentions that for some sets there is no way to assign probabilities to events which occur in them. I'm wondering what sets he is talking about. Tsitsiklis says that one will only encounter them doing doctoral work, but I imagine that the "theoretical aspects of probability theory" are more tangible than Tsitsiklis makes them out to be.
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The question is what does it mean to be tangible.
The sets that Tsitsiklis mentions are "non measurable sets" and they exist as a consequence of the axiom of choice. However it is consistent with the failure of the axiom of choice that no such set exists, and that we can - in fact - assign probabilities to all the subsets of the real line/plane/etc.
Example for such sets are:
And there are more.
He's talking about non-measurable sets.
The foundation for professional grade probability theory is measure theory. It turns out you can't coherently assign a notion of measure (length, area, volume, etc) to every subset of $\mathbb R$ (or $\mathbb R^n$ or most other spaces), so you make do with a subset of these sets. The class of measurable sets is still quite large, and the fact that you can't measure some sets doesn't pose any practical problems.
The existence of non-measurable sets is closely related to the axiom of choice.